Reviving Pseudo-Inverses for Large Dimensional Portfolio Selection
Nestor Parolya (TU Delft)
- Erasmus Econometric Institute Series
Nestor Parolya (TU Delft)
Andrew Harvey (University of Cambridge, United Kingdom)
Matteo Barigozzi (University of Bologna, Italy)
Bernd Schwaab (European Central Bank, Germany)
Oliver Linton (University of Cambridge, United Kingdom)
Thao Le
Clément Bellet